Numerical Methods for Stochastic Control Problems in Continuous Time

Name: Numerical Methods for Stochastic Control Problems in Continuous Time
Brand: Springer-Verlag New York Inc.
SKU: 9780387951393
Price: 3125 CZK
Availability: InStock

Autor: Harold J. Kushner, Paul G. Dupuis

Jazyk:

Vazba: Pevná

Vydavatel: Springer-Verlag New York Inc.

Dostupnost: Skladem u dodavatele

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3 125 Kč

Essentially all that is required of the approximations are some natural local consistency conditions...

Informace o knize

Autor

Harold J. Kushner, Paul G. Dupuis

Jazyk

Angličtina

Vazba

Kniha - Pevná

Vydáno

2000

Stránek

476

EAN

9780387951393

ISBN

0387951393

Enbook ID

01384274

Vydavatel

Springer-Verlag New York Inc.

Hmotnost

868

Rozměry

175 x 246 x 36

Kompletní popis

Essentially all that is required of the approximations are some natural local consistency conditions. The approximations are consistent with standard methods of numerical analysis. The required background in stochastic processes is surveyed, there is an extensive development of methods of approximation, and a chapter is devoted to computational techniques. The book is written on two levels, that of practice (algorithms and applications), and that of the mathematical development. Thus the methods and use should be broadly accessible.§

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Numerical Methods for Stochastic Control Problems in Continuous Time

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